Fog in Blender: Through World node or Object Node?
There are many ways to do fog in blender, and each one has different outcomes, the question is not what is better, but which one works for the desired outcome and or the computing power you have access to.


Using volumetrics (volume scattering) will yield the most realistic looking fog.

There are two ways to do it: 

1- Adding volume scatter to the world  volume will mean that the whole scene is surrounded by suspended particles (like smoke or haze).

2- Creating a mesh that is used as a Volumetric Domain, instead of surrounding the scene but just the areas that you need the volume scattering. Again, this is done by adding a volume scatter node to the volume of the mesh.


The main difference is that when you add volume scattering to the world you will never see the end of the fog (well, the end will be the clipping distance of the camera), whereas using a volumetric domain the fog is contained within a certain shape and sometimes the end is noticeable and unrealistic.

The problems with of using the world are that you cannot combine volumes and textures. Once you add volume to the world it occludes any color or sky or HDR imagery. Also it requires more computing time and resources. Another limitation is that it won't work when using a "sun" lamp, but will work wiht point, spot or area lights.

Having a volumetric domain requires less resources, since the area to calculate can be smaller, and will allow you to use textures in the world. If you want to use HDR or sky textures, this is the only way to do volumetrics. WIth a volumetric domain you can use a "sun" lamp.

It is important to understand that whenever you add volume scatter in any form, there will be more noise in the scene, a clean image will require more samples to render. Using volume scatter will also result in more "fireflies" (bright pixels), to minimize that please read through the many posts on the subject that exist in this site.

The lights in the scene, will also seem darker, so the energy values will need to increase. Another thing to keep in mind, is that every light on the scene will show in the atmosphere affecting the overall contrast of the image. Hiding light sources will require extra effort. 


A different way to do fog is by faking it with a Mist pass. A mist pass doesn't require much computing power and can be combined over the rendered image in the compositor. 


The mist pass works by making objects in the distance seem brighter and less defined. The mist pass has control for start, end and density. 

The mist pass is useful to create more realistic scenes without much effort by recreating the atmospheric haze that we experience in the real world, where objects far away seem to have less contrast.

The downside of the mist pass is that there is no interaction with the mist and the lights, so it will not create volumetric shadows or "god rays".